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This paper broadens the analysis of the interactions between energy and agricultural commodity markets by focusing on five major commodities: oil, natural gas, soybean, corn, and ethanol, and intends to provide more updated information regarding the degree of the connection among the markets. We estimate a DCC-MGARCH model to accommodate the dynamic and changing degree of interconnections among the five markets with respect to price levels and price volatilities. In doing so, we control for additional economic variables including oil and gas inventories, interest rate spread, exchange rate and economic activities. Our empirical evidence suggests that there are varying degrees of interconnections among the energy and agricultural commodities in the long term as well as the short term, but the interactions among the agricultural commodities and ethanol are generally higher than the interactions between oil and gas and agricultural markets. In addition, we reveal some weak evidence of commodity market speculation. The estimated conditional volatility correlations suggest that volatility spillovers among the markets were time dependent and dynamic.

This article employs a smooth transition autoregressive model to investigate the effects of government size (measured as the share of government consumption expenditure in gross domestic product) on economic growth using South Korea, Malaysia, Singapore, Taiwan and Thailand as sample countries during the period 1961 to 2004. The empirical results reveal that there is a nonlinear relationship among variables for each country except Malaysia and confirm the view of Barro (1990) that the government size over a certain threshold will have an adverse impact on economic growth rate for Korea, Taiwan and Thailand. Through the smooth transition autoregressive framework, we find that the estimated threshold of government size is 11% for most countries while the threshold government size of Taiwan is 16% and further conclude that the bigger government size is not really the better.

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